In this backdrop, the objective of this paper is to empirically investigate, for the first time in a developing country context, the transmission of volatility in money market overnight repo
rate to short and long-term interest rates in the term structure.
Total collateral value in the tri-party repo
market rose steeply after 2011, peaked toward the end of 2012, and then fell steeply.
The NIER's forecast is that the Riksbank will lower the repo
rate to 0.75 percent in February 2013.
Activity in New Zealand's repo
market has also recovered, with turnover in repos
that use government securities as collateral hitting record highs in late 2011.
MF Global, the global financial firm that filed for bankruptcy in October, is just the most recent noteworthy example of how repo
lending can go wrong.
In this article, we study a simple model of the tri-party repo
arrangement that allows us to capture in a parsimonious way some of the strategic interactions that arise in this market.
The lending rate of SBI's repo-linked home loan is based on the bank's repo
rate lending rate (RLLR), which in turn is linked to RBI's repo
The People's Bank of China (PBOC) injected 60 billion yuan into the market through seven-day reverse repos
at an interest rate of 2.55 percent, with 100 billion yuan of reverse repos
maturing, leading to a net withdrawal of 40 billion yuan.
Expansion of eligible securities to accord flexibility to market participants in their conduct of Repo
Bank of India said another dimension of rate transmission process is by way of offering repo
linked lending rate to select customer segments, including personal loans.
The volume of repo
transactions in January-June this year amounted to 437.8 million manats.